UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
UniCredit’s market risk-weighted assets (RWAs) fell to a record low of €6.9 billion ($7.6 billion) in the last quarter of 2021, as a precipitous drop in standardised RWAs offset a higher modelled output.
In the three months to end-December, RWAs under the standardised approach shrunk 68% to €842 million – the result of the bank’s overall foreign exchange position falling below 2% of its own funds
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